On the MSDN links page for cursor properties, IE only supports .cur and .ani files.
You can see it for yourself using one of the samples listed on the help page. However, this is a little disgusting. You must select the cursor and then apply it to test the functionality.
Also, you should note that caniuse.com suggests that the original CSS3 cursor property values are more widely supported than newer values.
Hope this helps ...
- Lance
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